A stock price is currently $25. Suppose that it will be either $23 or $27 at the end of 2 months. The risk-free interest rate is 10% per annum with continuous compounding. Consider a derivative that generates a payoff of 4S^2 in 2 months where S is the stock price at that time. What is the value of the derivative today?

Hint: the stock price movement can be defined as a one-step binomial tree. First, calculate u and d from the current and future stock prices. Then, determine the risk-neutral probabilities. Finally, discount the expected payoff of the derivative at the risk-free rate.